Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0048
Annualized Std Dev 0.2591
Annualized Sharpe (Rf=0%) -0.0185

Row

Daily Return Statistics

Close
Observations 3385.0000
NAs 1.0000
Minimum -0.1470
Quartile 1 -0.0058
Median 0.0007
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0062
Maximum 0.1608
SE Mean 0.0003
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0163
Skewness 0.0311
Kurtosis 14.0540

Downside Risk

Close
Semi Deviation 0.0117
Gain Deviation 0.0125
Loss Deviation 0.0133
Downside Deviation (MAR=210%) 0.0161
Downside Deviation (Rf=0%) 0.0116
Downside Deviation (0%) 0.0116
Maximum Drawdown 0.7348
Historical VaR (95%) -0.0228
Historical ES (95%) -0.0401
Modified VaR (95%) -0.0220
Modified ES (95%) -0.0220
From Trough To Depth Length To Trough Recovery
2007-10-03 2009-03-09 NA -0.7348 3373 351 NA
2007-09-10 2007-09-10 2007-09-14 -0.0329 2 1 1
2007-09-17 2007-09-17 2007-09-19 -0.0167 2 1 1
2007-09-20 2007-09-20 2007-09-26 -0.0113 5 1 4
2007-09-28 2007-09-28 2007-10-02 -0.0025 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA -0.2 -1.7 5.6 -0.6 2.9
2008 0.7 -0.5 1.7 -0.2 -0.2 -2.8 -1.2 0 0.3 9.6 -7.4 4 3.1
2009 -3.3 -0.7 2.7 -1.1 5.5 2.8 3.4 -3 -2.7 -2 3.8 -0.6 4.5
2010 1.4 1.3 0.8 -1.5 -2 2.3 0.3 3.2 1.1 0.4 1.5 0.3 9.4
2011 1.4 -1.4 0.6 0 -2 0.9 -0.5 -1.1 -2.3 -3 -1.3 0.1 -8.2
2012 1.2 0 0.7 0.5 -1.8 2.5 0.5 0.5 -0.4 0.8 -0.1 1 5.6
2013 0.4 0.6 -0.9 -0.9 -1.4 -0.2 -0.5 -0.6 1.2 0 -0.1 -0.2 -2.8
2014 -0.4 0.7 -0.1 0.6 0.2 0 -0.1 0.3 -0.4 2.2 0 -1.1 2
2015 -1.5 0.2 0.2 0.9 1.2 2.1 1.4 -2.4 -0.5 -0.9 0.2 0 0.9
2016 1.1 2.1 -0.4 -1.1 -0.2 0.5 -0.2 0.2 -0.2 -0.9 -1.9 1 -0.2
2017 -0.4 -0.4 0.4 0.3 0.1 -0.4 0.2 0.2 0.9 0.4 0.4 0.1 1.8
2018 -1.1 -0.2 0.8 0.5 0.2 0.1 -0.7 0.1 -0.1 0.4 -0.3 -0.3 -0.7
2019 -0.6 -0.3 0.1 0.3 0 0.2 -0.6 0.1 -0.9 0.3 -0.4 0.6 -1.2
2020 -0.9 -2.8 -5.6 -3.2 2.3 1.8 -0.6 -0.4 1.8 -0.7 1.7 0.1 -6.6
2021 1.1 0.6 -0.7 NA NA NA NA NA NA NA NA NA 1

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart